Michael Taksar

Publication Activity (10 Years)

Years Active: 1988-2010
Publications (10 Years): 0

Publications

Shangzhen Luo, Michael Taksar
Optimal excess-of-loss reinsurance under borrowing constraints. Risk Decis. Anal. 2 (2) (2010)
Tahir Choulli, Michael Taksar
Excess-of-loss reinsurance under taxes and fixed costs. Risk Decis. Anal. 2 (2) (2010)
Michael Taksar, Xudong Zeng
On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment. SIAM J. Control. Optim. 48 (5) (2009)
Michael Taksar, Xudong Zeng
Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain. CDC (2008)
Michael Taksar, Xudong Zeng
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain. SIAM J. Control. Optim. 46 (4) (2007)
Michael Taksar
Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models. CDC (2006)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control. SIAM J. Control. Optim. 41 (6) (2003)
Masatoshi Fukushima, Michael Taksar
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions. SIAM J. Control. Optim. 41 (3) (2002)
Bjarne Højgaard, Michael Taksar
Optimal risk control for a large corporation in the presence of returns on investments. Finance Stochastics 5 (4) (2001)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
Optimal risk control and dividend distribution for a financial corporation with policy constraints. CDC (2001)
Tahir Choulli, Michael Taksar, Xun Yu Zhou
An optimization model for a company with constraints on risk control. CDC (2001)
Søren Asmussen, Bjarne Højgaard, Michael Taksar
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Finance Stochastics 4 (3) (2000)
Michael Taksar, Alexander S. Poznyak, A. Iparraguirre
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters. IEEE Trans. Autom. Control. 43 (8) (1998)
Michael Taksar
Book review. Discret. Event Dyn. Syst. 6 (3) (1996)
Michael Taksar, Michael J. Klass, David Assaf
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees. Math. Oper. Res. 13 (2) (1988)